.
Xiao, Tim's
Scholarly Papers
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Aggregate Statistics
Total 139
Total Citations 0
1.
Xiao, Tim CIBC World Markets - Risk Quant, Capital Markets, CIBC
Posted:
26 Aug 11
Last Revised:
25 Sep 11
137(105,816)
LIBOR Market Model, LMM lattice or tree, BGM lattice or tree, shifted forward measure, drift approximation, risk management, calibration, callable exotics, callable bond, callable capped floater swap, callable inverse floater swap, callable range accrual swap
2.
Xiao, Tim CIBC World Markets - Risk Quant, Capital Markets, CIBC
2
credit value adjustment (CVA), wrong way risk, right way risk, credit risk modeling, risky valuation, default time approach (DTA), default probability approach (DPA), collateralization, margin and netting
3.
Xiao, Tim CIBC World Markets - Risk Quant, Capital Markets, CIBC
0
asset pricing; credit risk modeling; unilateral, bilateral, multilateral credit risk; collateralization; comvariance; comrelation; correlation.
4.
Xiao, Tim CIBC World Markets - Risk Quant, Capital Markets, CIBC
0
unilateral/bilateral collateralization, partial/full/over collateralization, asset pricing, plumbing of the financial system, swap premium spread, OTC/cleared/listed financial markets
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